Inference in functional factor models with applications to yield curves
Work
Year: 2022
Type: article
Abstract: This article develops a set of inferential methods for functional factor models that have been extensively used in modelling yield curves. Our setting accommodates both temporal dependence and heteros... more
Source: Journal of Time Series Analysis
Institutions University of Utah, Colorado State University, University of Waterloo, University of Reading
Cites: 34
Cited by: 3
Related to: 10
FWCI: 0.69
Citation percentile (by year/subfield): 59.25
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: hybrid
APC paid (est): $4,020
Funders National Science Foundation of Sri Lanka, National Science Foundation of Sri Lanka, National Science Foundation of Sri Lanka
Grant IDS DMS‐2123761, DMS‐1923142, DMS‐1914882